Kinetic time-inhomogeneous Lévy-driven model

MaRDI QIDQ6564556zbMATH OpenFDO

Authors Mihai Gradinaru, Emeline Luirard

Publication date 1 July 2024

Published in ALEA. Latin American Journal of Probability and Mathematical Statistics (Search for Journal in Brave)

zbMATH Keywords

ergodicityasymptotic distributiontightnessexplosion timescaling transformationLévy processkinetic stochastic equationtime-inhomogeneous stochastic differential equation

Mathematics Subject Classification ID

Brownian motion (60J65) Functional limit theorems; invariance principles (60F17) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stable stochastic processes (60G52) Self-similar stochastic processes (60G18)

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Cites work

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• scientific article; zbMATH DE number 2046384 (Why is no real title available?)
• Asymptotic Stability of Stochastic Differential Equations Driven by Lévy Noise
• Asymptotic behavior for a time-inhomogeneous Kolmogorov type diffusion
• Existence and asymptotic behaviour of some time-inhomogeneous diffusions
• Existence and estimates of moments for Lévy-type processes
• Exponential ergodicity and regularity for equations with Lévy noise
• Exponential ergodicity of the solutions to SDE's with a jump noise
• Jump stochastic differential equations with non-Lipschitz and superlinearly growing coefficients
• Lévy Processes and Stochastic Calculus
• Moment estimates for Lévy processes
• On multidimensional stable-driven stochastic differential equations with Besov drift
• On shift Harnack inequalities for subordinate semigroups and moment estimates for Lévy processes
• On strong existence and continuous dependence for solutions of one-dimensional stochastic equations with additive Lévy noise
• One dimensional critical kinetic Fokker-Planck equations, Bessel and stable processes
• Short-time behavior of solutions to Lévy-driven stochastic differential equations
• Solutions of stochastic differential equations obeying the law of the iterated logarithm, with applications to financial markets
• Stochastic differential equations with Sobolev drifts and driven by \(\alpha\)-stable processes
• Stochastic equations with time-dependent drift driven by Lévy processes
• Stochastic flows for Lévy processes with Hölder drifts
• Supercritical SDEs driven by multiplicative stable-like Lévy processes
• Theory of stochastic differential equations with jumps and applications.

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